摘要
由于可转换债券的复杂性,对其进行准确定价是一项极具挑战性的工作。到目前为止,国内外学者针对这一问题进行了大量的研究。本文简要地讨论了可转换债券的几类主要定价方法,在此基础上,着重系统地分析和评述可转换债券的蒙特卡罗模拟定价方法及其改进。本文认为,最小方差蒙特卡罗模拟方法非常适用于可转换债券的定价,然而其定价效率也受到了此方法的固有偏差及低收敛度的严重影响。
For the complexity of convertible bond, its pricing has become a challenging job, plenty of international and domestic research about this topic have been done and many pricing models have been proposed. Major pricing approaches of convertible bond are reviewed, and Monte-Carlo pricing method and its improvement for convertible bond are analyzed systematically in this paper. It concluded that Least Square Monte Carlo method is quite suitable for the pricing of convertible bond, but pricing efficiency of this approach can be influenced severely by its inherent error and low convergence degree.
出处
《金融理论与实践》
北大核心
2008年第8期8-12,共5页
Financial Theory and Practice
基金
国家自然科学基金项目<金融衍生证券定价的蒙特卡罗模拟方法及其应用>研究赞助
项目编号70571068
